Fannie Mae Benchmark CPR™ Commentary - June 2020
Fannie Mae developed our Benchmark CPR framework to facilitate proactive engagement with sellers and servicers. In March, we made our Benchmark CPR framework available to market participants by launching the Benchmark CPR dashboard on Data Dynamics® and releasing a methodology overview. As part of our continuous efforts to engage with market participants, we are introducing a monthly commentary to discuss insights arising from the Benchmark CPR data.
Fannie Mae Cohort Benchmark CPR3 came in at 35.2 CPR for the month of May, which was a 13% increase from the 31.1 CPR observed in April. As a reminder, our flagship metric, the Benchmark CPR3, is calculated from the three-month weighted average single monthly mortality (SMM) rate. However, the most recent one-month components of the Benchmark CPR3 show a marginal slowdown from 38 CPR in April to 35 CPR in May. This is a reversal of the significant acceleration observed in the last few months, from 22 CPR in February to 38 CPR in April.